Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0218
Annualized Std Dev 0.2378
Annualized Sharpe (Rf=0%) -0.0917

Row

Daily Return Statistics

Close
Observations 3519.0000
NAs 1.0000
Minimum -0.1717
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0065
Maximum 0.1825
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0150
Skewness -0.4994
Kurtosis 21.3342

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0107
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6490
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0369
Modified VaR (95%) -0.0202
Modified ES (95%) -0.0202
From Trough To Depth Length To Trough Recovery
2007-04-20 2009-03-09 NA -0.6490 3505 475 NA
2007-04-18 2007-04-18 2007-04-19 -0.0045 2 1 1
2007-04-04 2007-04-09 2007-04-17 -0.0025 9 3 6
2007-03-30 2007-04-02 2007-04-03 -0.0010 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0 0 0.5 0.2 -0.4 2.5 1.2 -2.4 1.6 0.1 3.2
2008 2.3 -2.2 3.3 0.6 0.2 -0.7 0.3 -0.8 0.6 1.4 -9.5 1.5 -3.5
2009 -2.7 -1.2 1.4 -0.2 2 0.3 0.5 -1.2 -1.6 -2.5 0.7 1.2 -3.4
2010 1.2 0.3 0.6 -1.6 -1.8 -1 1.6 2 1.7 0.5 1.2 0.7 5.8
2011 -0.6 -2 -0.1 0.4 -1.7 -0.3 -0.3 -0.5 -2.5 -2.3 -0.2 0 -9.6
2012 1.3 0.6 0.7 0.8 -2.2 2 0.1 0.9 0.7 1.7 -0.2 1.4 8
2013 0.8 0.1 1.1 0.7 -0.9 1.2 0.8 0.1 1 -0.2 0.6 0.7 6
2014 -1.8 -0.2 0.6 0.4 -0.2 0 -0.2 0.2 -0.3 1.7 0.2 1.1 1.3
2015 -1.2 0.2 -0.9 0.9 0.2 1.1 0.4 -3 0.5 0.1 0.3 1.1 -0.3
2016 0.5 1.1 0.1 -0.7 0.7 3 -0.7 -0.5 1 -1 0.4 -0.5 3.5
2017 0 0.7 0.7 0.1 0.4 1.1 0.8 1 1.4 0.6 -1.1 1 7
2018 -0.1 -0.7 1.2 -0.7 0.4 0.6 3.2 -0.8 -0.8 1.2 0.7 1.4 5.6
2019 -0.5 0.6 1.4 0.4 -1.3 0.4 0.1 0.1 -1 0.4 -0.7 -0.5 -0.8
2020 -1.1 -3.8 -5.3 -2.9 1.1 1.1 -0.1 0.4 0.3 -0.9 1.5 0.2 -9.3
2021 1.2 1.6 -0.5 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-28  20   SPY    142. -0.0073 -0.0103    0.0166   0.0076   0.0908    0.278    0.241 GLD    66.0  5.30e-3   0.0035
2 2007-03-29  20.0 SPY    142.  0.0011 -0.0085    0.0074   0.0028   0.0987    0.279    0.239 GLD    65.6 -6.10e-3  -0.0017
3 2007-03-30  20.0 SPY    142   0.0002 -0.0097    0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  1.40e-3   0.0091
4 2007-04-02  20   SPY    142.  0.0011 -0.0073    0.0252  -0.0004   0.0952    0.258    0.241 GLD    65.8  1.70e-3   0.0002
5 2007-04-03  20.0 SPY    144.  0.0108  0.00580   0.0462   0.0146   0.107     0.270    0.261 GLD    65.8 -3.00e-4   0.002 
6 2007-04-04  20.0 SPY    144.  0.0011  0.0143    0.0297   0.0175   0.109     0.264    0.271 GLD    66.8  1.49e-2   0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart